This is a summary of links featured on Quantocracy on Friday, 08/04/2017. To see our most recent links, visit the Quant Mashup. Read on readers!
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Trend-Following with Valeriy Zakamulin: Anatomy of Trading Rules (Part 4) [Alpha Architect]In our context, a technical trading indicator can be considered as a combination of a specific technical trading rule with a particular moving average of prices. In two preceding blog posts we showed that there are many technical trading rules, as well as there are many popular types of moving averages. As a result, there exist a vast number of potential combinations of a specific trading rule
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US Stock Multiples Properly Reflect Sentiment, But It Doesn’t Make Them Attractive [EconomPic]GMO's latest quarterly commentary is a must read, especially the second half where Jeremy Grantham attempts to model / answer the question "Why Are Stock Market Prices So High?". His first bullet point in the whole piece provides a good summary: Contrary to theory, the market P/E level does not primarily reflect future prospects. It reflects current conditions. Go read the whole